Relation between higher order comoments and dependence structure of equity portfolio
Mario Cerrato, John Crosby, Minjoo Kim, Yang Zhao
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Cerrato, Mario ; Crosby, John ; Kim, Minjoo ; Zhao, Yang |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 40.2017, p. 101-120
|
| Subject: | Higher order comoments | Dependence structure | Hyperbolic generalized skewed t copula | Generalized autoregressive score | Risk management | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Risikomanagement | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011744455